clear
capture restore
set scheme cleanplots, perm

* SET DIRECTORIES
global home "..."

global data "$home/Data/"
global output "$home/Output/"

cd $home

*SET CONTROL VARIABLES
local firm_controls "log_salesg_real_1lag_std size_assets_1lag_std liquidity_1lag_std pcmq_1lag_std recpay2yq_1lag_std d2aq_1lag_std ln_market_cap_q_1lag_std tobins_q_1lag_std lev_d2c_1lag_std dd_1lag_std age_1lag_std i.sector i.fqtr"

local agg_controls "lngdp inflation unemp nasdaq fedfunds"

*************
***Options***
*************
*Set ivol measure to use as baseline
local matur m1545

* Set the LP details ========================================================================
*# periods to compute the responses foreach
local hor = 20
*# lags of "endogenous" variables 
local lagy = 4 
*# lags of "shock"
local lage = 0 

********************************************************************************
********************************************************************************
********************************************************************************
*Read-in ivol data (contains all trading days for Compustat firms)
use "${data}Compustat_Quarterly_Final", clear

drop ed8_d 

merge m:1 year qtr using "${data}RR_monetary_shock_quarterly"
drop if _merge==2
drop _merge

gen resid_romer_shock_qtr =-resid_romer
drop resid_romer

local n = 20

*Set panel data
xtset firmid ts_qtr

*Flag sample for those in at least n quarters
bysort gvkey pre_crisis: egen obs_num_temp = count(gvkey) if pre_crisis
bysort gvkey: egen obs_num = max(obs_num_temp)

*Flag outliers (bottom/top 0.5%) for investment
_pctile investment_intensive if pre_crisis, p(.5 99.5)
gen 	investment_outlier = (investment_intensive<r(r1)|investment_intensive>r(r2))

gen sample_period=(pre_crisis==1)

gen in_sample = (obs_num>=`n' & !missing(obs_num) & investment_outlier==0 & sample_period)

********************************************************************************
*Set panel data
xtset firmid ts_qtr

gen ivol_`matur'_std = ivol_`matur'
gen vix_eoq_std = vix_eoq
gen dd_std = dd
gen age_1lag_std = age

rename age age_1lag

***Standardize quarterly Compustat variables and lagged ivol level
foreach i in dd_1lag age_1lag log_salesg_real_1lag size_assets_1lag liquidity_1lag pcmq_1lag recpay2yq_1lag d2aq_1lag ln_market_cap_q_1lag tobins_q_1lag lev_d2c_1lag ivol_`matur' vix_eoq {

	*Pre-Crisis Standardization
	drop `i'_std
	qui: sum `i' if in_sample
	gen `i'_std = (`i' - r(mean)) / r(sd)
	
}

*Standardize ivol and dd
_pctile ivol_`matur' if in_sample, percentiles(30 70)
gen ivol_`matur'_hi2lo = (ivol_`matur' - r(r1)) / (r(r2) -  r(r1))

_pctile dd  if in_sample, percentiles(30 70)
gen dd_hi2lo = (dd - r(r1)) / (r(r2) -  r(r1))

********************************************************************************
*Prepare local projection variables
********************************************************************************
xtset firmid ts_qtr

*Use the inflation-adjusted versions of dependent variables, if applicable
foreach i in niq ivltq ivstq invtq intanq tanq xrdq saleq K_int K_int_Know K_int_Org K_int_offBS K_int_onBS {
	
	drop `i'
	rename `i'_real `i'
 
}

foreach var in capital_stock K_int_Know_qtr K_int_Org_qtr {
*	foreach var in capital_stock niq ivltq ivstq invtq current_total_orig liquidity intanq tanq K_int K_int_Know K_int_Org K_int_offBS K_int_onBS K_tot xrdq saleq tobins_q_wins q_tot_wins K_phys_qtr K_phys_qtr_proxy K_int_qtr K_int_onBS_qtr K_int_offBS_qtr K_int_Know_qtr K_int_Org_qtr K_tot_qtr {
	forvalues h =   0/`hor' {
		 gen `var'`h' = (ln(f`h'.`var') - ln(l.`var')) * 100
}
}

*Create time variable for DK SEs
xtset
egen time=group(ts_qtr)
xtset firmid time

drop if !in_sample

egen date_tag=tag(ts_qtr)

foreach mps in mp1_d ns_pc_d brw_d ed8_d ff4 resid_romer {

	*Standardize mps to unit standard deviation & positive is expansionary
	gen `mps'=`mps'_shock_qtr

	sum `mps' if pre_crisis & date_tag
	replace `mps' = `mps'/r(sd)

	********************************************************************************
	********************************************************************************
	*foreach var in capital_stock saleq xrdq tanq intanq K_int_onBS K_int K_int_Know K_int_Org K_int_offBS K_tot liquidity invtq ivstq ivltq niq tobins_q_wins q_tot_wins { 
		foreach var in capital_stock { 
		
		eststo clear
			
		cap gen qtrs = _n-1 if _n<=`hor'+1
		cap gen zero =  0 	if _n<=`hor'+1
		cap gen b_mps = 0
		cap gen u_mps = 0
		cap gen d_mps = 0

		cap gen b_ivol = 0
		cap gen u_ivol = 0
		cap gen uu_ivol = 0 
		cap gen d_ivol = 0
		cap gen dd_ivol = 0

		cap gen b_mpsI = 0
		cap gen u_mpsI = 0
		cap gen uu_mpsI = 0
		cap gen d_mpsI = 0
		cap gen dd_mpsI = 0

		cap gen b_intEff = 0

		cap gen nobs = 0
		
		********************************************************************************
		*INVESTMENT REGRESSIONS
		********************************************************************************

		forvalues h = 0/`hor' {

			quietly: reghdfe `var'`h' `mps' L.ivol_`matur'_hi2lo  c.`mps'#c.L.ivol_`matur'_hi2lo  `firm_controls' l(1/`lagy').(`agg_controls') if in_sample, a(firmid) vce(cluster time,dkraay(16)) old

			replace b_mpsI = _b[c.`mps'#c.L.ivol_`matur'_hi2lo ]                     			if _n == `h'+1
			replace u_mpsI = _b[c.`mps'#c.L.ivol_`matur'_hi2lo ] + 1.645* _se[c.`mps'#c.L.ivol_`matur'_hi2lo ]  	if _n == `h'+1
			replace d_mpsI = _b[c.`mps'#c.L.ivol_`matur'_hi2lo ] - 1.645* _se[c.`mps'#c.L.ivol_`matur'_hi2lo ]  	if _n == `h'+1	
			replace uu_mpsI = _b[c.`mps'#c.L.ivol_`matur'_hi2lo ] + _se[c.`mps'#c.L.ivol_`matur'_hi2lo ]  	if _n == `h'+1
			replace dd_mpsI = _b[c.`mps'#c.L.ivol_`matur'_hi2lo ] - _se[c.`mps'#c.L.ivol_`matur'_hi2lo ]  	if _n == `h'+1			
			replace nobs = e(N)                        						if _n == `h'+1	
			eststo
			
		}

		* Plot the Investment response
		twoway (rarea u_mpsI d_mpsI qtrs, fcolor(gs14) lcolor(gs14) lw(none) lpattern(solid) xlabel(,labsize(medlarge) nogrid) ylabel(,labsize(medlarge) nogrid)) ///
		(rarea uu_mpsI dd_mpsI qtrs, fcolor(gs8) lcolor(gs8) lw(none) lpattern(solid)) ///
		(line b_mpsI qtrs, lcolor(black) lpattern(solid) lwidth(thick)) /// 
		(line zero qtrs, lcolor(black)) if !missing(qtrs), legend(off) ///
		ytitle("Percent", size(medlarge)) xtitle("Quarter", size(medlarge)) ///
		graphregion(color(white)) plotregion(color(white))

		graph export "${output}figureA2_`mps'.pdf", replace
		
		drop qtrs zero b_mps u_mps d_mps b_ivol u_ivol d_ivol b_mpsI u_mpsI uu_mpsI d_mpsI dd_mpsI b_intEff uu_ivol dd_ivol nobs
		
		eststo clear	
	}
}
